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Obviously the mxd doesn't contain the gdb files, and the linked raster files. So when I copy a project, I need to search manually the 49 raster maps from the other 4000. Is there an easier way to copy this?

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The way to do this is to create a map package:

Map packages (.mpk) make it easy to share complete map documents with others. A map package contains a map document (.mxd) and the data referenced by the layers it contains, packaged into one convenient, portable file.

The downside of this will be that with the inclusion of raster data sources, your *.mpk files are likely to become quite large.

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Also, the format is made with some (unnecessary?) irritating things. Like you have to fill out a number of metadata fields before you are allowed to export. I can see the point of this when sharing data outside your environment, but most of the time I don't use it that way and I haven't found any way around it. – Martin Apr 22 '14 at 8:34

Why not make everything relative to your MXD? This approach only works if what you are doing can have all the data stored in sub-folders relative to your MXD. This works well with small projects. But you don't say where your data is? If they are spread across multiple drive spaces then as suggested by @PolyGeo the map package is probably your only option.

If you go into File > Map document properties and tick on store relative path names then that is literally it. Then you can copy the top level folder with its MXD and sub-folders of data to a DVD/USB stick or zip it all up.

You should read this help page for best practise.

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Map package, as suggested by @PolyGeo, is the way to go if you want to distribute the map along with the data, relative path may also work in some situations as pointed out by @Hornbydd but you can also easily fix multiple "broken links" by clicking the red exclamation mark rather then linking individual data sources.

Clicking the exclamation mark will present the same Set Data Source dialog but instead of linking a single layer it will link all the layers for a particular data source. You still need to choose the data source for the particular layer but arc map will automatically link all the rest of the "broken links". enter image description here

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